Forecasting Economic Time Series

Forecasting Economic Time Series PDF Author: Michael Clements
Publisher: Cambridge University Press
ISBN: 9780521634809
Category : Business & Economics
Languages : en
Pages : 402

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Book Description
This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.

Forecasting Economic Time Series

Forecasting Economic Time Series PDF Author: Michael Clements
Publisher: Cambridge University Press
ISBN: 9780521634809
Category : Business & Economics
Languages : en
Pages : 402

Get Book Here

Book Description
This book provides a formal analysis of the models, procedures, and measures of economic forecasting with a view to improving forecasting practice. David Hendry and Michael Clements base the analyses on assumptions pertinent to the economies to be forecast, viz. a non-constant, evolving economic system, and econometric models whose form and structure are unknown a priori. The authors find that conclusions which can be established formally for constant-parameter stationary processes and correctly-specified models often do not hold when unrealistic assumptions are relaxed. Despite the difficulty of proceeding formally when models are mis-specified in unknown ways for non-stationary processes that are subject to structural breaks, Hendry and Clements show that significant insights can be gleaned. For example, a formal taxonomy of forecasting errors can be developed, the role of causal information clarified, intercept corrections re-established as a method for achieving robustness against forms of structural change, and measures of forecast accuracy re-interpreted.

Forecasting Economic Time Series

Forecasting Economic Time Series PDF Author: C. W. J. Granger
Publisher: Academic Press
ISBN: 1483273245
Category : Business & Economics
Languages : en
Pages : 353

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Book Description
Economic Theory, Econometrics, and Mathematical Economics, Second Edition: Forecasting Economic Time Series presents the developments in time series analysis and forecasting theory and practice. This book discusses the application of time series procedures in mainstream economic theory and econometric model building. Organized into 10 chapters, this edition begins with an overview of the problem of dealing with time series possessing a deterministic seasonal component. This text then provides a description of time series in terms of models known as the time-domain approach. Other chapters consider an alternative approach, known as spectral or frequency-domain analysis, that often provides useful insights into the properties of a series. This book discusses as well a unified approach to the fitting of linear models to a given time series. The final chapter deals with the main advantage of having a Gaussian series wherein the optimal single series, least-squares forecast will be a linear forecast. This book is a valuable resource for economists.

Forecasting Non-stationary Economic Time Series

Forecasting Non-stationary Economic Time Series PDF Author: Michael P. Clements
Publisher: MIT Press
ISBN: 9780262531894
Category : Business & Economics
Languages : en
Pages : 398

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Book Description
This text on economic forecasting asks why some practices seem to work empirically despite a lack of formal support from theory. After reviewing the conventional approach to forecasting, it looks at the implications for causal modelling, presents forecast errors and delineates sources of failure.

Time Series Models for Business and Economic Forecasting

Time Series Models for Business and Economic Forecasting PDF Author: Philip Hans Franses
Publisher: Cambridge University Press
ISBN: 1139952129
Category : Business & Economics
Languages : en
Pages : 421

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Book Description
With a new author team contributing decades of practical experience, this fully updated and thoroughly classroom-tested second edition textbook prepares students and practitioners to create effective forecasting models and master the techniques of time series analysis. Taking a practical and example-driven approach, this textbook summarises the most critical decisions, techniques and steps involved in creating forecasting models for business and economics. Students are led through the process with an entirely new set of carefully developed theoretical and practical exercises. Chapters examine the key features of economic time series, univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete practical guide. Downloadable datasets are available online.

Applied Economic Forecasting Using Time Series Methods

Applied Economic Forecasting Using Time Series Methods PDF Author: Eric Ghysels
Publisher: Oxford University Press
ISBN: 0190622016
Category : Business & Economics
Languages : en
Pages : 617

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Book Description
Economic forecasting is a key ingredient of decision making in the public and private sectors. This book provides the necessary tools to solve real-world forecasting problems using time-series methods. It targets undergraduate and graduate students as well as researchers in public and private institutions interested in applied economic forecasting.

Economic and Business Forecasting

Economic and Business Forecasting PDF Author: John E. Silvia
Publisher: John Wiley & Sons
ISBN: 1118569547
Category : Business & Economics
Languages : en
Pages : 400

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Book Description
Discover the secrets to applying simple econometric techniques to improve forecasting Equipping analysts, practitioners, and graduate students with a statistical framework to make effective decisions based on the application of simple economic and statistical methods, Economic and Business Forecasting offers a comprehensive and practical approach to quantifying and accurate forecasting of key variables. Using simple econometric techniques, author John E. Silvia focuses on a select set of major economic and financial variables, revealing how to optimally use statistical software as a template to apply to your own variables of interest. Presents the economic and financial variables that offer unique insights into economic performance Highlights the econometric techniques that can be used to characterize variables Explores the application of SAS software, complete with simple explanations of SAS-code and output Identifies key econometric issues with practical solutions to those problems Presenting the "ten commandments" for economic and business forecasting, this book provides you with a practical forecasting framework you can use for important everyday business applications.

Economic Forecasting

Economic Forecasting PDF Author: N. Carnot
Publisher: Springer
ISBN: 0230005810
Category : Business & Economics
Languages : en
Pages : 335

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Book Description
Economic Forecasting provides a comprehensive overview of macroeconomic forecasting. The focus is first on a wide range of theories as well as empirical methods: business cycle analysis, time series methods, macroeconomic models, medium and long-run projections, fiscal and financial forecasts, and sectoral forecasting. In addition, the book addresses the main issues surrounding the use of forecasts (accuracy, communication challenges) and their policy implications. A tour of the economic data and forecasting institutions is also provided.

Handbook of Economic Forecasting

Handbook of Economic Forecasting PDF Author: G. Elliott
Publisher: Elsevier
ISBN: 0444513957
Category : Business & Economics
Languages : en
Pages : 1071

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Book Description
Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.

Time-Series Forecasting

Time-Series Forecasting PDF Author: Chris Chatfield
Publisher: CRC Press
ISBN: 1420036203
Category : Business & Economics
Languages : en
Pages : 281

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Book Description
From the author of the bestselling "Analysis of Time Series," Time-Series Forecasting offers a comprehensive, up-to-date review of forecasting methods. It provides a summary of time-series modelling procedures, followed by a brief catalogue of many different time-series forecasting methods, ranging from ad-hoc methods through ARIMA and state-space

Macroeconomic Forecasting in the Era of Big Data

Macroeconomic Forecasting in the Era of Big Data PDF Author: Peter Fuleky
Publisher: Springer Nature
ISBN: 3030311503
Category : Business & Economics
Languages : en
Pages : 716

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Book Description
This book surveys big data tools used in macroeconomic forecasting and addresses related econometric issues, including how to capture dynamic relationships among variables; how to select parsimonious models; how to deal with model uncertainty, instability, non-stationarity, and mixed frequency data; and how to evaluate forecasts, among others. Each chapter is self-contained with references, and provides solid background information, while also reviewing the latest advances in the field. Accordingly, the book offers a valuable resource for researchers, professional forecasters, and students of quantitative economics.